News Shocks, Long-Run Risk, and Asset Returns

Soohun Kim, Chang Lee
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Abstract

I study the long-run consumption risk reflected in news shock, a shock to expectations about future productivity. I identify news shock using a structural Vector Autoregression analysis. News shocks cause persistent future consumption growth and explain a large share of consumption movements in the long-run. Consistent with the long-run consumption risk hypothesis, I find that news shocks have a significantly positive risk premium in the cross section of asset returns. I also find that news shocks explain the size premium.
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新闻冲击、长期风险和资产回报
我研究的是反映在新闻冲击中的长期消费风险,即对未来生产力预期的冲击。我用结构向量自回归分析来识别新闻冲击。新闻冲击导致未来消费持续增长,并在很大程度上解释了长期消费变动。与长期消费风险假设相一致,我发现新闻冲击在资产收益横截面上具有显著的正风险溢价。我还发现,新闻冲击解释了规模溢价。
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